hi Rebecca I have a simple suggestion :can you show the regression output of the first step in equation object in the spool object results, just to show Sdr-error and t-stat.....and very useful add-in. Thanks for sharing.Kind Regards.

It should be very simple for you to modify the add-in to put the ts regression output into a spool. For example, in the add-in code replace the fragment beginning with "' calculate betas from ts regressions of portfolio/asset returns on market returns" with:

Dear Rebecca,This Add-in use OLS for cross-sectional average regression, '' In applying standard OLS formulas to a cross-sectional regression, we assume that the right-hand variables beta are fixed. The beta in the cross-sectional regression are not fixed, of course, but are estimated in the time-series regression. This turns out to matter, even asymptotically...'' (John H. Cochrane, ASSET PRICING, chapter 12 pp 239-240).How can use others methods for the estimation like GMM or EGLS for the cross sectional regression out put of Fama-MacBeth methodologie. can you add two methods EGLS and GMM with the OLS in the Add-in (to make the choice with the three methods OLS or GMM and EGLS for estimating).the reference: John H. Cochrane, ASSET PRICING, Revised edition, Princeton University Press, Chapter 12 pp 229-252.